Research Commons
      • Browse 
        • Communities & Collections
        • Titles
        • Authors
        • By Issue Date
        • Subjects
        • Types
        • Series
      • Help 
        • About
        • Collection Policy
        • OA Mandate Guidelines
        • Guidelines FAQ
        • Contact Us
      • My Account 
        • Sign In
        • Register
      View Item 
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Oil prices and Stock Market anomalies

      Cheema, Muhammad A.; Scrimgeour, Frank
      Thumbnail
      Files
      Oil-Prices-and-Stock-Market-Anomalies.pdf
      Published version, 437.4Kb
      Link
       acfr.aut.ac.nz
      Citation
      Export citation
      Cheema, M. A., & Scrimgeour, F. (2018). Oil prices and Stock Market anomalies. Presented at the New Zealand Finance Meeting 2018, Queenstown, New Zealand.
      Permanent Research Commons link: https://hdl.handle.net/10289/12284
      Abstract
      This paper examines the relationship between oil prices and stock market anomalies in China, the largest oil importer country in the world. Prior literature documents both a positive and negative relationship between oil prices and the stock market. The explanation of a positive relationship is supported by the argument that rising oil prices are interpreted as a positive signal by investors. Consequently, rising oil prices lead stock prices above their fundamental values and that they subsequently correct. Therefore, we hypothesise that stock market anomalies are stronger following rising oil prices since returns associated with anomalies reflect mispricing. The results, consistent with the hypothesis, show stronger return predictability for individual anomalies following an increase in oil prices than for a decrease in oil prices. The results are even stronger once we construct a mispricing score based on composite mispricing of all the anomalies.
      Date
      2018
      Type
      Conference Contribution
      Collections
      • Management Papers [1101]
      Show full item record  

      Usage

      Downloads, last 12 months
      264
       
       

      Usage Statistics

      For this itemFor all of Research Commons

      The University of Waikato - Te Whare Wānanga o WaikatoFeedback and RequestsCopyright and Legal Statement